量化择时周报：上行趋势中看好什么板块？-20250727

Quantitative Models and Construction 1. Model Name: Timing System Model - Model Construction Idea: This model uses the distance between the short-term moving average (20-day) and the long-term moving average (120-day) of the WIND All A Index to determine the market trend. If the short-term moving average is above the long-term moving average and the absolute distance exceeds 3%, the market is considered to be in an upward trend[2][10][16] - Model Construction Process: 1. Calculate the 20-day moving average (short-term) and the 120-day moving average (long-term) of the WIND All A Index 2. Compute the percentage difference between the two moving averages: $ \text{Distance} = \frac{\text{20-day MA} - \text{120-day MA}}{\text{120-day MA}} \times 100% $ - 20-day MA: Short-term moving average - 120-day MA: Long-term moving average 3. If the distance is greater than 3% and the short-term moving average is above the long-term moving average, the market is in an upward trend[2][10][16] - Model Evaluation: The model effectively identifies upward market trends and provides a clear signal for timing decisions[2][10][16] 2. Model Name: Industry Allocation Model - Model Construction Idea: This model identifies sectors with potential for outperformance based on medium-term trends and specific themes, such as "distressed reversal" and "high elasticity" sectors[3][11][16] - Model Construction Process: 1. Analyze sector performance and valuation metrics 2. Identify sectors with medium-term growth potential, such as distressed reversal sectors (e.g., Hong Kong innovative drugs, Hong Kong securities, and Hang Seng consumption) 3. Highlight high-elasticity sectors like technology, military, AI applications, and solid-state batteries based on the TWO BETA model[3][11][16] - Model Evaluation: The model provides actionable insights for sector allocation during upward market trends, focusing on high-growth and high-elasticity sectors[3][11][16] 3. Model Name: Position Management Model - Model Construction Idea: This model determines the optimal stock allocation ratio based on valuation levels and short-term market trends[3][11] - Model Construction Process: 1. Assess the valuation levels of the WIND All A Index using PE and PB metrics 2. Combine valuation levels with short-term market trends to recommend stock allocation ratios 3. Current recommendation: Allocate 80% of absolute return products to stocks based on the WIND All A Index[3][11] - Model Evaluation: The model provides a systematic approach to managing stock positions, balancing valuation levels and market trends[3][11] --- Model Backtesting Results 1. Timing System Model - Distance between Moving Averages: 5.21% (greater than the 3% threshold, indicating an upward trend)[2][10][16] 2. Industry Allocation Model - Recommended Sectors: - Distressed reversal sectors: Hong Kong innovative drugs, Hong Kong securities, Hang Seng consumption - High-elasticity sectors: Technology, military, AI applications, solid-state batteries[3][11][16] 3. Position Management Model - Stock Allocation Recommendation: 80% allocation to stocks based on the WIND All A Index[3][11]